To study the paleoclimatic implications of the loess-like Yellow–brown Earth (YBE) overlying red clay (RC) along the Yangtze River, mid-subtropical Southeast China, four YBE–RC profiles in southern Anhui Province were investigated. Grain-size and geochemical characteristics indicated that the YBE is homologous to the aeolian Xiashu Loess; and the underlying RC, sub-divided into uniform RC (URC) and reticulate RC (RRC), is more intensively weathered but also exhibits aeolian dust characteristics. Optically stimulated luminescence (OSL) dating indicated that the YBE was formed during the Last Glacial, the RRC mainly during the Last Interglacial, and the URC during the transitional period between the YBE and RC. The YBE–RC transition reflects a significant paleoclimatic change in mid-subtropical China during the Last Glacial–Interglacial cycle. Sub-events of the Last Glacial, correlated with the marine isotopic stages (MIS) 2 and 3, can be identified within the YBE; however, those of the Last Interglacial, potential correlated with MIS 5a–5e, cannot be identified within the RRC possibly due to paleoclimatic overprinting. The rubification had been replaced by loess deposition along the Yangtze River since the early Last Glacial. With both highly weathered and aeolian-dust characteristics, the underlying RRC may indicate paleoclimatic instability given the multiple alternations between loess deposition and rubification of the Last Interglacial. The climatic change during the Last Glacial–Interglacial cycle significantly influenced the pedogenesis and made soil diversified in the study areas.